Convergence of a Generalized Fast-Marching Method for an Eikonal Equation with a Velocity-Changing Sign

We present a new Fast Marching algorithm for an eikonal equation with a velocity changing sign. This first order equation models a front propagation in the normal direction. The algorithm is an extension of the Fast Marching Method in two respects. The first is that the new scheme can deal with a time-dependent velocity and the second is that there is no restriction on its change in sign. We analyze the properties of the algorithm and we prove its convergence in the class of discontinuous viscosity solutions. Finally, we present some numerical simulations of fronts propagating in R. AMS Classification: 65M06, 65M12, 49L25.